Testing Strategies Beyond Realized Price Paths
By Mahavir Bhattacharya TL;DR: This blog introduces retrospective simulation, inspired by Taleb’s “Fooled by Randomness,” to simulate 1,000 alternate historical price paths using a non-parametric Brownian bridge method. Using SENSEX data (2000–2020) as in-sample data, the author optimises an EMA crossover strategy across the in-sample data first, and then applies it to the out-of-sample data … Read more
